- Paperback: 352 pages
- Publisher: Profile Books; Main edition (6 Nov. 2008)
- Language: English
- ISBN-10: 1846682622
- ISBN-13: 978-1846682629
- Product Dimensions: 12.9 x 2.2 x 19.8 cm
- Average Customer Review: 4.1 out of 5 stars See all reviews (46 customer reviews)
- Amazon Bestsellers Rank: 50,455 in Books (See Top 100 in Books)
The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward Paperback – 6 Nov 2008
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Mandelbrot is acknowledged as the father of chaos theory ... he is, simply, very clever indeed. (Sunday Telegraph)
The reader gets a clear picture of the history of finance theory ... the best financial read (Financial Times)
Entertainingly written ... this book is a brain-opener that adds hugely to our sum of knowledge. (Director)
Benoit Mandelbrot, father of fractal geometry, revolutionised our understanding of the models of modern financial theory. This new edition includes material on the current market crisis, calling for an end to the tunnel vision of our bankers whose over-confidence in their understanding of markets ended in catastrophe.See all Product Description
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Top Customer Reviews
This book is a rant, reflecting the death of editing in favour of celebrity authorship. So it's repetitive. It's also light on theory, and it repeats itself. But that doesn't mean it's wrong. Mandelbrot makes the case early on that the behaviour of market prices, or of any variable not constrained by physics, are not normally distributed. He then goes on to claim that artificial systems are non-Gaussian, putting them outside the reach of statistics - and by extension, outside the reach of CAPM, Black-Scholes, VAR, and GARCH. He proposes power law distributions as an alternative. He's probably right, but he never demonstrates this claim, and the alternative he suggests - multifractals - is, by his own admission, not very useful.
He comprehensively demolishes the random walk model, claiming to have demonstrated that volatility clusters, and that there is memory in all markets. This may be true, but it will have the effect of encouraging snake oil salesmen (see below).
More pertinent and scary is that Mandelbrot does show that the exponents needed to model power law distributions for different markets or instruments are so diverse and intractable as to make general market models meaningless. He does not explain how multifractals address this.Read more ›
Benoit Mandelbrot is universally familiar as the father of fractal geometry and the discoverer of the eponymous Mandelbrot set - "named after me by my colleagues," as he bashfully admits - and in a long and maverick career has turned his attention to just about every subject from turbulent systems to CGI. Now in this, his latest work, he condenses his economics writings into a highly readable form for the layman. Markets, says Mandelbrot, do not obey the simple Gaussian curve (think of a man tossing a coin over and over, each flip independent of the last) which has provided the basis for the most academically respectable models of the last century. Price changes are not continuous. There is no such thing as objective value. Disastrous, impossible, Rosencrantz-and-Guildenstern type runs can, and do, occur. Charts of price changes over the course of a hundred years look very similar to changes over a day, if you remove the indices; the man who tells you to invest your money long-term with a view to reducing risk is doing you no favours. What's more, fund-managers already tacitly acknowledge some of the truth of this, and although they may learn the theory at business school, nobody rigorously applies it for long in practice.
Where Mandelbrot shines is in making a potentially forbidding subject highly accessible; in his discursive, entertaining style, in his constant use of visuals to elucidate price movements and models and the satisfyingly chewy mathematics of fractal dimension.Read more ›
Within the very wide field of economics there are many conflicting views about the nature of economics and there is much in the way of interesting work going on out there and I would cite the contributions of the Austrian school and the evolutionary school and especially point to the very accessible work of Paul Ormerod who give somewhat different views to those of the standard model.
This book is not aimed at those practitioners of economics or indeed the professionals of the City of London or Wall Street. To my mind, as an interested observer, Mandelbrot and Hudson are doing all of us a service in illuminating the gaps in economic theory that underpins the financial industry. John Maynard Keynes, who's General Theory of Employment, Interest and Money (1936)can be said to lie at the heart of much of contemporary economic theory, once famously compared the financial services industry to gambling, also made his fortune on the stock market.
The book methodically disects each of the pillars of contemporary financial theory and exposes it's weakness then introduces some basic fractal geometry ideas to exhibit their apparent ly better predictive use. As someone who favours the approach of ideas of chaos theory into the economics brew I tend to be more open to the approach that Mandelbrot uses but the proof of the pudding, as we say in England, lies in the eating and this populist text is certainly not the place for complex technical proofs or highly mathematical analysis.Read more ›
Most Recent Customer Reviews
The author just doesn't seem to know at what level to aim his book. He briefly explains the statistical ideas of mean and standard deviation in insufficient detail to educate the... Read morePublished 2 months ago by John Doe
a bit out there, but i see his point. not for beginners or those new to technical analysis.Published 5 months ago by r.j. potter
The contents of the book could be summarized on a A4 or less: 1) stock price changes dont follow a normal/gaussian distribution 2) stock prices show significant autocorrelation,... Read morePublished 11 months ago by Amazon Customer
A very interesting book indeed. I'm coming from a computer science background and everything made complete sense, although even non-technical people will grasp the take-away... Read morePublished 21 months ago by Bilyan Borisov
Simply a great book - worth reading for sure... fractals are an essential part of our lives...Published 22 months ago by Michal Brozka
It made a great present for a relative who is interested in finance.Published 24 months ago by Maria
The first time i saw a mandelbrot fractal was at my university computing-maths course - it was a beautiful fern that i thought was a photograph but knew it was computer generated... Read morePublished on 12 Sept. 2014 by J. Orji
More great stuff from Mandelbrot but on this occasion it's all comprehensible by mostly normal humans like myself. Read morePublished on 3 Sept. 2014 by Pete Brazier
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